You can only save your game by completing bonus stages and collecting gems, forcing you to find the tokens to find a bonus stage/collect a gem. You also cannot replay a bonus stage in order to save; if you finished it/die there, you're out of luck. The password system helps matters, but not by much, and is needlessly long and complicated. Though Tawna's tokens are so easily found in every level that it's almost impossible to miss them, but remember you can still fail them. While you could argue that "No Boxes/Gems means no progress", that also means you lose progress on levels you've beaten, especially considering the difficult ones available, and how long they can be.
To collect the gems, in addition to breaking all boxes, you need to do it in one continuous run, Did you break every single box but died just before the goal? Then your efforts will have been in vain. Considering how long later levels can get, you can really see how annoying this can become.
"Sunset Vista". Clearing it is fairly challenging. Getting the gem, much more so. Remember: To get the Gem, one must destroy every crate and not die after reaching a Checkpoint Crate. Also, this is one of only two levels with a Cortex bonus level, which are hard and mandatory for 100%.
"Slippery Climb" has the trickiest platforming in the game, which also suffers from the worst case of Checkpoint Starvation in the series, with one located shortly before the midpoint. There was another level like it called "Stormy Ascent" in its style that was Dummied Outbecause it was too difficult (in addition to the planned Bonus Round being bugged with no time left to fix). Considering the other levels on this list, it somehow makes the level sound scarier.
"Toxic Waste". You must avoid barrels that are thrown down the path by the other members of Pinstripe's mafia, and there are very few areas where you can hide from the barrels. It gets worse later on in the level, in which bouncing barrels are being thrown as well, and it takes lots of practice to memorize their patterns and where you can hide from them without being flattened.
"Fumbling in the Dark", the harder version of "Lights Out". Both levels are pitch-black unless you have a mask, which lights up the general vicinity for a limited period of time. This means that you basically need to accomplish jumps quickly, with moving platforms and giant swinging blades, and if you get hurt, you lose your light source. That's bad enough, but Fumbling in the Dark in particular adds insult to injury by having some seriously hard jumps in the beginning of the level (behind the level's entrance), Check Point Starvation, and requiring a ton of timing and good reflexes. If you can beat Fumbling in the Dark and get the gem for it, chances are the rest of the game won't be very hard for you.